Related papers: Lifted directed-worm algorithm
Sampling with Markov chain Monte Carlo methods often amounts to discretizing some continuous-time dynamics with numerical integration. In this paper, we establish the convergence rate of sampling algorithms obtained by discretizing smooth…
We investigate the increase in efficiency of simulated and parallel tempering MCMC algorithms when using non-reversible updates to give them "momentum". By making a connection to a certain simple discrete Markov chain, we show that, under…
We discuss a non-reversible, lifted Markov-chain Monte Carlo (MCMC) algorithm for particle systems in which the direction of proposed displacements is changed deterministically. This algorithm sweeps through directions analogously to the…
In this paper, we propose and analyse a family of generalised stochastic composite mirror descent algorithms. With adaptive step sizes, the proposed algorithms converge without requiring prior knowledge of the problem. Combined with an…
This paper considers stochastic-constrained stochastic optimization where the stochastic constraint is to satisfy that the expectation of a random function is below a certain threshold. In particular, we study the setting where data samples…
It is well known in many settings that reversible Langevin diffusions in confining potentials converge to equilibrium exponentially fast. Adding irreversible perturbations to the drift of a Langevin diffusion that maintain the same…
A novel class of non-reversible Markov chain Monte Carlo schemes relying on continuous-time piecewise-deterministic Markov Processes has recently emerged. In these algorithms, the state of the Markov process evolves according to a…
Markov chain Monte Carlo (MCMC) algorithms are indispensable when sampling from a complex, high-dimensional distribution by a conventional method is intractable. Even though MCMC is a powerful tool, it is also hard to control and tune in…
Power systems that need to integrate renewables at a large scale must account for the high levels of uncertainty introduced by these power sources. This can be accomplished with a system of many distributed grid-level storage devices.…
We review criteria for comparing the efficiency of Markov chain Monte Carlo (MCMC) methods with respect to the asymptotic variance of estimates of expectations of functions of state, and show how such criteria can justify ways of combining…
Relational Continuous Models (RCMs) represent joint probability densities over attributes of objects, when the attributes have continuous domains. With relational representations, they can model joint probability distributions over large…
To understand the convergence behavior of the Push-Pull method for decentralized optimization with stochastic gradients (Stochastic Push-Pull), this paper presents a comprehensive analysis. Specifically, we first clarify the algorithm's…
We prove rapid mixing of the Prokofiev-Svistunov (or worm) algorithm for the zero-field ferromagnetic Ising model, on all finite graphs and at all temperatures. As a corollary, we show how to rigorously construct simple and efficient…
The classical Metropolis-Hastings (MH) algorithm can be extended to generate non-reversible Markov chains. This is achieved by means of a modification of the acceptance probability, using the notion of vorticity matrix. The resulting Markov…
The lifted Heston model is a stochastic volatility model emerging as a Markovian lift of the rough Heston model and the class of rough volatility processes. The model encodes the path dependency of volatility on a set of N square-root state…
Reversible jump Markov chain Monte Carlo (RJMCMC) proposals that achieve reasonable acceptance rates and mixing are notoriously difficult to design in most applications. Inspired by recent advances in deep neural network-based normalizing…
The latent position network model (LPM) is a popular approach for the statistical analysis of network data. A central aspect of this model is that it assigns nodes to random positions in a latent space, such that the probability of an…
We present a novel and open-source implementation of the worm algorithm, which is an algorithm to simulate Bose-Hubbard and sign-positive spin models using a path integral representation of the partition function. The code can deal with…
Elliptical slice sampling is a widely used gradient-free Markov chain Monte Carlo algorithm that is tuning-free and capable of adapting to local characteristics of the target distribution. However, its primary limitation is that sampling…
Stochastic optimization methods such as mirror descent have wide applications due to low computational cost. Those methods have been well studied under assumption of the independent and identical distribution, and usually achieve sublinear…